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Cover: 9781137268518 | Discounting, LIBOR, CVA and Funding | Interest Rate and Credit Pricing
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Discounting, LIBOR, CVA and Funding
Interest Rate and Credit Pricing
Buch von C. Kenyon (u. a.)
Sprache: Englisch

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Beschreibung
Providing the most up-to-date tools and techniques for pricing interest rate and credit products for the new financial world, this book discusses pricing and hedging, funding and regulation, and interpretation, as an essential resource for quantitatively minded practitioners and researchers in finance.
Providing the most up-to-date tools and techniques for pricing interest rate and credit products for the new financial world, this book discusses pricing and hedging, funding and regulation, and interpretation, as an essential resource for quantitatively minded practitioners and researchers in finance.
Über den Autor
Dr. Chris Kenyon (London, UK) is a Director at Lloyds Banking Group in the front office Quantitative Research - CVA / FVA group. Previously he was head quant for counterparty risk at Credit Suisse, and at DEPFA Bank PLC he was Head of Structured Credit Valuation (post crisis), working on pricing model development and validation, and market risk. He has also held positions at IBM Research, and Schlumberger where he applied real options pricing to everything from offshore rig lease extension options to variable volume outsourcing contracts. Chris holds a PhD in Applied Mathematics from Cambridge University where he was a Research Fellow (Computer Modeling), and an MSc in Operations Research from the University of Austin, Texas. He is a regular writer and conference speaker, his papers have appeared in Quantitative Finance, Risk Magazine, Operations Research, IEEE Computer amongst others, and presented at academic conferences and industry meetings including those organized by Bachelier Finance Society, WBS, Marcus Evans, Risk Magazine, and many more.

Dr. Roland Stamm is Head of Risk Methods and Valuation at HRE Group (formerly DEPFA Bank), where he is responsible (among other things) for the development of new pricing models, model set up, validation and calibration, CVA adjustments and market risk methodology. He was previously Head of Valuation at HRE Group, and has also held positions as Head of Market Risk Products, Head of IT Development andProject Manager, all at DEPFA Bank. He holds a PhD in Mathematics (Algebraic Topology) from the Westfälische Wilhelms-Universität, Münster where he was awarded a magna cum laude for his thesis The K- and L- Theory of Certain Discrete Groups, and received a master's degree in Mathematics from the Johannes-Gutenberg-Universität, Mainz.
Zusammenfassung
First book to illustrate multi-curve modeling, covering discounting, Libor, CVA and funding, by featuring the latest tools and techniques to price complex financial products, post-crisis
Inhaltsverzeichnis
Preface Acknowledgements Back to the Basics Bootstrapping of Zero Curves Introduction to Credit Spreads A Plethora of Credit Spreads Introduction to Basis Spreads Local Discount Curves Global Discount Curve Non-Linear Products CVA: Instrument Level CVA: Firm Level Basel III Backtesting Bibliography
Details
Erscheinungsjahr: 2012
Fachbereich: Betriebswirtschaft
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Buch
Seiten: 227
Inhalt: xxiv
227 S.
ISBN-13: 9781137268518
ISBN-10: 1137268514
Sprache: Englisch
Einband: Gebunden
Autor: Kenyon, C.
Stamm, R.
Auflage: 2012 edition
Hersteller: Palgrave Macmillan UK
Springer Nature Singapore
Maße: 241 x 161 x 27 mm
Von/Mit: C. Kenyon (u. a.)
Erscheinungsdatum: 06.08.2012
Gewicht: 0,556 kg
preigu-id: 106408672
Über den Autor
Dr. Chris Kenyon (London, UK) is a Director at Lloyds Banking Group in the front office Quantitative Research - CVA / FVA group. Previously he was head quant for counterparty risk at Credit Suisse, and at DEPFA Bank PLC he was Head of Structured Credit Valuation (post crisis), working on pricing model development and validation, and market risk. He has also held positions at IBM Research, and Schlumberger where he applied real options pricing to everything from offshore rig lease extension options to variable volume outsourcing contracts. Chris holds a PhD in Applied Mathematics from Cambridge University where he was a Research Fellow (Computer Modeling), and an MSc in Operations Research from the University of Austin, Texas. He is a regular writer and conference speaker, his papers have appeared in Quantitative Finance, Risk Magazine, Operations Research, IEEE Computer amongst others, and presented at academic conferences and industry meetings including those organized by Bachelier Finance Society, WBS, Marcus Evans, Risk Magazine, and many more.

Dr. Roland Stamm is Head of Risk Methods and Valuation at HRE Group (formerly DEPFA Bank), where he is responsible (among other things) for the development of new pricing models, model set up, validation and calibration, CVA adjustments and market risk methodology. He was previously Head of Valuation at HRE Group, and has also held positions as Head of Market Risk Products, Head of IT Development andProject Manager, all at DEPFA Bank. He holds a PhD in Mathematics (Algebraic Topology) from the Westfälische Wilhelms-Universität, Münster where he was awarded a magna cum laude for his thesis The K- and L- Theory of Certain Discrete Groups, and received a master's degree in Mathematics from the Johannes-Gutenberg-Universität, Mainz.
Zusammenfassung
First book to illustrate multi-curve modeling, covering discounting, Libor, CVA and funding, by featuring the latest tools and techniques to price complex financial products, post-crisis
Inhaltsverzeichnis
Preface Acknowledgements Back to the Basics Bootstrapping of Zero Curves Introduction to Credit Spreads A Plethora of Credit Spreads Introduction to Basis Spreads Local Discount Curves Global Discount Curve Non-Linear Products CVA: Instrument Level CVA: Firm Level Basel III Backtesting Bibliography
Details
Erscheinungsjahr: 2012
Fachbereich: Betriebswirtschaft
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Buch
Seiten: 227
Inhalt: xxiv
227 S.
ISBN-13: 9781137268518
ISBN-10: 1137268514
Sprache: Englisch
Einband: Gebunden
Autor: Kenyon, C.
Stamm, R.
Auflage: 2012 edition
Hersteller: Palgrave Macmillan UK
Springer Nature Singapore
Maße: 241 x 161 x 27 mm
Von/Mit: C. Kenyon (u. a.)
Erscheinungsdatum: 06.08.2012
Gewicht: 0,556 kg
preigu-id: 106408672
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